欧洲央行-当地的机构所有权和围绕极端天气的挑战（英）

Working Paper Series Local institutional ownership and price discovery around extreme weather events Rob Bauer, Dirk Broeders, Flavio De Carolis Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3069 AbstractIn this event study, we analyze the effect of market segmentation on stock returns in Europeamid extreme weather events. We show that local institutional ownership (LIO) mitigates thenegative effect of the uncertainty from the occurrence of extreme weather events on stockprices. We assess firms’ exposure to physical climate risks using the Eurosystem’s methodthat uses physical climate risk indicators. In a sample with materially exposed industries,we find a negative risk-adjusted abnormal return of 99 basis points for storms on the eventdate. This negative return is mitigated however by 1.3% for each percentage point increasein LIO. We confirm the mitigating role of LIO by testing the information hypothesis throughtwo channels: the distance between a firm’s headquarters and the affected facility and itsexposure to physical risk.JEL: C81, G11, G14, G32, Q54Keywords: extreme weather events, event study, asset pricing, market segmentationECB Working Paper Series No 30691Non-technical summaryFinancial asssets are increasingly exposed to climate risks, yet investor reactions to extremeweather events remain uncertain. This study explores how local institutional ownership (LIO)influences stock price movements during extreme weather events in Europe. We find that LIOplays a stabilizing role, helping to mitigate the negative impact of storms and floods on stockreturns. Using data from 2014 to 2022, we analyze publicly listed firms with varying levels ofLIO and assess their exposure to physical climate risks through the Eurosystem’s methodology.Our findings reveal that extreme weather events, particularly storms, lead to significantdeclines in stock prices. On average, stocks of affected companies experience a negative abnormalreturn of 99 basis points on the event date. However, this negative effect is reduced by 1.3percentage points for each additional percentage point of LIO. This suggests that local institutionalinvestors, who are more familiar with companies’ exposure to climate risks, incorporate thisknowledge into their investment decisions. As a result, firms with higher LIO experience lesspronounced price drops, as the risks are already reflected in stock valuations before the eventoccurs.Furthermore, our study highlights the importance of geographic proximity in mitigatinguncertainty. When a company’s affected facility is located farther from its headquarters, stockprice reactions tend to be stronger. This indicates that informational distance plays a crucial rolein investors’ ability to assess climate-related risks. Local institutional investors, who often havebetter access to firm-specific information,